Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0790
Annualized Std Dev 0.1911
Annualized Sharpe (Rf=0%) 0.4134

Row

Daily Return Statistics

Close
Observations 3009.0000
NAs 1.0000
Minimum -0.1226
Quartile 1 -0.0049
Median 0.0008
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0064
Maximum 0.0798
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0008
Variance 0.0001
Stdev 0.0120
Skewness -0.9331
Kurtosis 10.8239

Downside Risk

Close
Semi Deviation 0.0090
Gain Deviation 0.0078
Loss Deviation 0.0099
Downside Deviation (MAR=210%) 0.0136
Downside Deviation (Rf=0%) 0.0088
Downside Deviation (0%) 0.0088
Maximum Drawdown 0.4680
Historical VaR (95%) -0.0178
Historical ES (95%) -0.0296
Modified VaR (95%) -0.0198
Modified ES (95%) -0.0481
From Trough To Depth Length To Trough Recovery
2018-01-29 2020-03-23 2021-02-08 -0.4680 763 541 222
2011-05-02 2011-12-28 2014-02-28 -0.2913 712 168 544
2014-07-07 2016-02-11 2017-08-31 -0.2747 797 405 392
2010-04-15 2010-05-26 2010-09-20 -0.1853 110 30 80
2010-01-15 2010-02-08 2010-04-01 -0.1248 53 16 37

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2009 NA NA NA 1.8 2 1.2 1.5 -2.6 -2.6 -3.2 2.7 -0.2 0.4
2010 1.7 0.8 1.8 -1 -0.9 0.9 0.4 3 1.4 0.1 2.7 1.1 12.4
2011 2.1 -0.7 0.6 0.3 -1.7 1.1 -0.3 -1.2 -2.9 -3 -1.2 0.7 -6.2
2012 1.9 0.6 1 0.8 -2.5 3.3 0 1.3 0.8 1.4 0 1.6 10.5
2013 0.9 0.1 -1.3 -0.7 -1.6 1.1 1.5 -0.6 0.9 -0.4 0.3 0.5 0.7
2014 -0.8 0.8 0.9 0 0.1 0.7 -0.6 0.1 -1.3 0.9 -0.5 -0.1 0.2
2015 -0.7 0.3 0.8 0.3 0.1 0.1 0.5 -2.7 0.4 0 1.2 -0.9 -0.8
2016 0.2 2.3 -0.1 0.2 0.1 0.8 -0.7 0.9 0.6 -0.2 -0.1 0.1 4
2017 0.6 0.9 0 0.2 0.9 0.7 0.2 0.5 0.7 0.2 -0.7 0.4 4.7
2018 0.3 -1 1.2 -0.3 0.6 1 -0.2 -0.2 0.1 2.4 -0.2 0.4 4.1
2019 -0.2 0.5 1.3 -0.9 -0.5 0.5 -0.9 0.5 -0.8 1.1 -0.7 0.6 0.8
2020 -1.5 -0.6 -3.9 -2.3 2.4 0.5 -0.9 0.5 1.1 -0.5 2.2 -0.4 -3.5
2021 1.7 2 1.1 NA NA NA NA NA NA NA NA NA 4.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2009-04-06  52.6 SPY    83.6 -0.0078   0.061     0.213  -0.0996   -0.390   -0.360   -0.271 GLD    85.3 -0.0265   -0.0523
2 2009-04-07  51.4 SPY    81.6 -0.0233   0.0268    0.199  -0.126    -0.403   -0.377   -0.292 GLD    86.7  0.0172   -0.0392
3 2009-04-08  52.1 SPY    82.5  0.0108   0.0181    0.144  -0.0898   -0.392   -0.369   -0.282 GLD    86.6 -0.0015   -0.0486
4 2009-04-09  53.8 SPY    85.8  0.0397   0.0285    0.181  -0.0575   -0.369   -0.338   -0.251 GLD    86.3 -0.0035   -0.028 
5 2009-04-13  54.7 SPY    85.8  0.0002   0.0186    0.137  -0.0366   -0.356   -0.338   -0.250 GLD    87.9  0.0182    0.0033
6 2009-04-14  54.3 SPY    84.4 -0.0172   0.009     0.109  -0.0299   -0.366   -0.344   -0.265 GLD    87.4 -0.00580   0.0246
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart